Risk-Based Position Sizing with Broker Tick Values and Volume Steps

Summary

This document describes a position-sizing calculator that converts a cash risk budget, entry price, and stop price into a trade volume using the broker's symbol specifications. It uses tick size and tick value to estimate the loss per lot, then rounds the calculated volume down to the permitted volume step so the requested risk is not exceeded through rounding. The method supports stops on either side of entry and reports the resulting risk after broker limits are applied.

If the requested risk implies less than the minimum trade size, the calculator returns that minimum and flags that actual risk will be higher. The document separates the arithmetic from live terminal data by passing a symbol specification into the calculation, with live symbol lookup serving as an input step. It describes an offline test script covering 41 cases, including several instrument types, volume constraints, and invalid inputs, and reports that all passed. The material explains implementation behavior but does not independently validate broker data accuracy or sizing under slippage, gaps, or changing prices.

Key ideas

• Position size is derived from the account-currency risk budget and the loss per lot implied by broker tick specifications.
• Volume is rounded down to the broker's permitted step to avoid exceeding the requested risk through rounding.
• When the minimum volume exceeds the calculated size, the routine reports the higher actual risk and flags the clamp.
• Separating sizing arithmetic from live symbol lookup allows offline testing with synthetic specifications.
• The described tests cover common constraints and rejection cases, but do not address slippage or price gaps.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.